Unless you need large quantities, sources like Amazon can be a good deal. As iMonitor suggested, make sure you are getting copper wire. Don't go cheap.
As for the heat shrinkable crimp connectors...
I've found it much cheaper to just buy regular crimp connectors and use some marine grade heat shrink over them after installation.
Beware of some of the lower price crimp connectors on Amazon, some I purchased years ago had an extremely thin tinned coating on them that would come off easily.
You can get a box of marine grade heat shrink at Harbor Freight. While I'm usually cautious about stuff from there, I've found it to be good stuff and reasonably priced, especially since they are -always- having some sort of sale.